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An I(2) Cointegration Analysis of Price and Quantity Formation in Danish Manufactured Exports

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  • Nielsen, Heino Bohn
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    Abstract

    The long-run and short-run structure of the Danish manufacturing export sector is analyzed within a cointegrated vector autoregressive model. The price variables of the analysis can be characterized as integrated of second order, I(2), but long-run homogeneity seems to cancel the I(2)-trend allowing the analysis of a transformed data set to take place within the cointegrated I(1)-framework. Two long-run relations are found and identified as a demand-relation for Danish exports and a polynomially cointegrated price relation. In the price formation a large weight to foreign prices and an effect from the rate of inflation to the steady-state markup are found. The latter effect is interpreted as an element of caution in the price setting in an inflationary environment. To characterize the short-run behavior of the Danish export-sector a structural representation of the model is developed. Copyright 2002 by Blackwell Publishing Ltd

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    Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

    Volume (Year): 64 (2002)
    Issue (Month): 5 (December)
    Pages: 449-72

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    Handle: RePEc:bla:obuest:v:64:y:2002:i:5:p:449-72

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    Cited by:
    1. Antonio E. Noriega & Daniel Ventosa-Santaulària, 2006. "Spurious Regression and Econometric Trends," Working Papers, Banco de México 2006-05, Banco de México.
    2. Antonio E. Noriega & Daniel Ventosa-Santaulària, 2010. "Spurious Long-Horizon Regression in Econometrics," Working Papers, Banco de México 2010-06, Banco de México.

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